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Article: Innovative efficiency and stock returns

TitleInnovative efficiency and stock returns
Authors
Hirshleifer, DHsu, PHLi, D
KeywordsInnovative Efficiency
Limited Attention
Market Efficiency
Research And Development
Issue Date2013
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jfec
Citation
Journal Of Financial Economics, 2013, v. 107 n. 3, p. 632-654 How to Cite?
DOI: http://dx.doi.org/10.1016/j.jfineco.2012.09.011
AbstractWe find that innovative efficiency (IE), patents or citations scaled by research and development expenditures, is a strong positive predictor of future returns after controlling for firm characteristics and risk. The IE-return relation is associated with the loading on a mispricing factor, and the high Sharpe ratio of the Efficient Minus Inefficient (EMI) portfolio suggests that mispricing plays an important role. Further tests based upon attention and uncertainty proxies suggest that limited attention contributes to the effect. The high weight of the EMI portfolio return in the tangency portfolio suggests that IE captures incremental pricing effects relative to well-known factors. © 2012 Elsevier B.V. All rights reserved.
Persistent Identifierhttp://hdl.handle.net/10722/177807
ISSN
0304-405X
2021 Impact Factor: 8.238
2020 SCImago Journal Rankings: 11.673
SSRN
1799675
ISI Accession Number ID
WOS:000316523800006

 

DC FieldValueLanguage
dc.contributor.authorHirshleifer, Den_US
dc.contributor.authorHsu, PHen_US
dc.contributor.authorLi, Den_US
dc.date.accessioned2012-12-19T09:39:58Z-
dc.date.available2012-12-19T09:39:58Z-
dc.date.issued2013en_US
dc.identifier.citationJournal Of Financial Economics, 2013, v. 107 n. 3, p. 632-654en_US
dc.identifier.issn0304-405Xen_US
dc.identifier.urihttp://hdl.handle.net/10722/177807-
dc.description.abstractWe find that innovative efficiency (IE), patents or citations scaled by research and development expenditures, is a strong positive predictor of future returns after controlling for firm characteristics and risk. The IE-return relation is associated with the loading on a mispricing factor, and the high Sharpe ratio of the Efficient Minus Inefficient (EMI) portfolio suggests that mispricing plays an important role. Further tests based upon attention and uncertainty proxies suggest that limited attention contributes to the effect. The high weight of the EMI portfolio return in the tangency portfolio suggests that IE captures incremental pricing effects relative to well-known factors. © 2012 Elsevier B.V. All rights reserved.en_US
dc.languageengen_US
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jfecen_US
dc.relation.ispartofJournal of Financial Economicsen_US
dc.rightsThis work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.-
dc.rightsNOTICE: this is the author’s version of a work that was accepted for publication in <Journal Of Financial Economics>. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in PUBLICATION, [VOL 107, ISSUE 3, (2013)] DOI 10.1016/j.jfineco.2012.09.011-
dc.subjectInnovative Efficiencyen_US
dc.subjectLimited Attentionen_US
dc.subjectMarket Efficiencyen_US
dc.subjectResearch And Developmenten_US
dc.titleInnovative efficiency and stock returnsen_US
dc.typeArticleen_US
dc.identifier.emailHsu, PH: paulhsu@hku.hken_US
dc.identifier.authorityHsu, PH=rp01553en_US
dc.description.naturepostprinten_US
dc.identifier.doi10.1016/j.jfineco.2012.09.011en_US
dc.identifier.scopuseid_2-s2.0-84875511544en_US
dc.identifier.hkuros220039-
dc.identifier.hkuros238571-
dc.identifier.isiWOS:000316523800006-
dc.publisher.placeNetherlandsen_US
dc.identifier.ssrn1799675-
dc.identifier.scopusauthoridHirshleifer, D=6602877412en_US
dc.identifier.scopusauthoridHsu, PH=8974031100en_US
dc.identifier.scopusauthoridLi, D=36504322100en_US
dc.identifier.citeulike11625204-
dc.identifier.issnl0304-405X-

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